Ag trade ideas
- Thread starter TraDaToR
- Start date
Kinda interesting article about profitable investing strategy, based on calendar spreads
And some interesting excerptions:
"As we detail in Section 3 the rebalancing process is carried out using calendar spreads. This becomes particularly obvious when comparing the amount of noncommercial spreading (as a percentage of open interest) for the commodities that are included in the major indices with the commodities that are not included in the major indices. Figure 2 shows that while the index commodities exhibit a strong increase in spreading following 2005, again coinciding with the increase in assets under management, the off-index commodities show no significant change in spreading"
"...in the practical execution of rebalancing [rolling], mutual funds sell calendar spreads thereby automatically offsetting their position in the maturing contract and creating a new long position in a contract with longer maturity."
"The Goldman roll is named after the prescribed rolling procedure of the GoldmanSachs Commodity Index in which the index rolls, that is re-weights, twenty percent of the composition of its maturity, exchanging the closest maturities for the next closest maturities in the appropriate contracts from the fifth to ninth business days of each month. Traditionally, as detailed by Mou (2011), selling the near month of the roll and buying the following month (a trading position equivalent to a short calendar spread) ahead of this roll is an extremely predictable and profitable trading strategy. However, following 2006 large fund managers have become more sophisticated in their rebalancing strategies. They have therefore become susceptible to being frontrun during the roll period as can be seen directly from Figure 6. "
And some interesting excerptions:
"As we detail in Section 3 the rebalancing process is carried out using calendar spreads. This becomes particularly obvious when comparing the amount of noncommercial spreading (as a percentage of open interest) for the commodities that are included in the major indices with the commodities that are not included in the major indices. Figure 2 shows that while the index commodities exhibit a strong increase in spreading following 2005, again coinciding with the increase in assets under management, the off-index commodities show no significant change in spreading"
"...in the practical execution of rebalancing [rolling], mutual funds sell calendar spreads thereby automatically offsetting their position in the maturing contract and creating a new long position in a contract with longer maturity."
"The Goldman roll is named after the prescribed rolling procedure of the GoldmanSachs Commodity Index in which the index rolls, that is re-weights, twenty percent of the composition of its maturity, exchanging the closest maturities for the next closest maturities in the appropriate contracts from the fifth to ninth business days of each month. Traditionally, as detailed by Mou (2011), selling the near month of the roll and buying the following month (a trading position equivalent to a short calendar spread) ahead of this roll is an extremely predictable and profitable trading strategy. However, following 2006 large fund managers have become more sophisticated in their rebalancing strategies. They have therefore become susceptible to being frontrun during the roll period as can be seen directly from Figure 6. "
I looked at them one time. But what the point? For cotton you can look at weekly crop progress. Maybe it would be useful for non-us commodities